Um estudo sobre a inter-relação dos mercados de ações e títulos públicos sob a ótica da liquidez e volatilidade

Na última década, a economia brasileira apresentou-se estável adquirindo maior credibilidade mundial. Dentre as opções de investimento, estão os mercados de ações e de títulos públicos. O portfolio de investimento dos agentes é determinado de acordo com os retornos dos ativos e/ou aversão ao risco, e a diversificação é importante para mitigar risco. Dessa forma, o objetivo principal do presente trabalho é estudar a inter-relação entre os mercados de títulos públicos e ações, avaliando aspectos de liquidez e quais variáveis representariam melhor esta relação, verificando também como respondem a um choque (surpresa econômica), pois a percepção de alteração do cenário econômico, ou variações de fluxo financeiro, pode alterar/inverter as relações entre esses mercados. Para isso, estimou-se modelos de vetores auto-regressivos - VAR, com variáveis de retorno, volatilidade e volume negociado para cada um dos mercados em combinações diferentes das variáveis representativas, visando encontrar o(s) modelo(s) mais descritivo(s) das inter-relações entre os mercados, dado a amostra utilizada, para aplicar a dummy de surpresa econômica. Em estudo semelhante Chordia, Sarkar e Subrahmanyam (2005) concluiram que choques de liquidez e volatilidade são positivamente correlacionado nos mercados de ações e títulos públicos em horizontes diários, indicando que os choques de liquidez e volatilidade são muitas vezes de natureza sistêmica. O mesmo não foi observado para a proxy de liquidez utilizada na amostra brasileira. Um resultado interessante a ser ressaltado deve-se as séries SMLL11 (índice Small Caps) e IDkAs (índice de duração constante ANBIMA) não possuírem relação de causalidade de Granger com as demais séries, mas os retornos dos IDkAs Granger causam os retornos do índice SMLL11. Por fim, o choque de surpresa econômica não se mostra explicativo sobre qualquer alteração nas inter-relações entre os mercados de títulos públicos e ações.

Financial constraints and house prices: an international perspective

In this paper, we show substantial empirical evidence that house prices are more sensitive to shocks to percapita income, in countries where housing finance is more developed. This result is consistent with the theoretical framework developed in the paper, where we study the impact ofprogressive relaxation of financiai constraints on housing demand and equilibrium house prices. Our results are consistent with recent literature on financiai constraints and business investment, which argues that the investment of less constrained firms can be more sensitive to changes in cash flow. More broadly, our results challenge the traditional view that financiai development leads to smaller fluctuations in key economic variables. The policy implications are c1ear and important. Even iffinancial development is desirable for other reasons, the potential associated increase in volatility should be an explicit policy concern.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Public debt management, monetary policy and financial institutions

Despite the large size of the Brazilian debt market, as well the large diversity of its bonds, the picture that emerges is of a market that has not yet completed its transition from the role it performed during the megainflation years, namely that of providing a liquid asset that provided positive real returns. This unfinished transition is currently placing the market under severe stress, as fears of a possible default from the next administration grow larger. This paper analyzes several aspects pertaining to the management of the domestic public debt. The causes for the extremely large and fast growth ofthe domestic public debt during the seven-year period that President Cardoso are discussed in Section 2. Section 3 computes Value at Risk and Cash Flow at Risk measures for the domestic public debt. The rollover risk is introduced in a mean-variance framework in Section 4. Section 5 discusses a few issues pertaining to the overlap between debt management and monetary policy. Finally, Section 6 wraps up with policy discussion and policy recommendations.

Assessing the performance of private equity investments

This study presents an alternative investment projection model to estimate the future values of Private Equity (PE) investments. The performance of PE investments is assessed by analyzing the risk-return relationship relative to simulated Public Market (PM) investments that mimic the cash flow patterns of PE investments. The model allows for a quantified analysis of the underlying inputs that outline the PE performance and risks, and accounts for survivorship bias. These inputs include the fund manager’s decisions regarding the selection, leverage, size, duration and timing of investment and divestments.

Viabilidade econômica do cultivo de cacaueiro e bananeira irrigados no Maranhão

Este trabalho teve por objetivo estudar a viabilidade econômica da produção consorciada de cacau e banana na região do Perímetro Irrigado Tabuleiro de São Bernardo nos municípios de Magalhães de Almeida e Araioses, estado do Maranhão (MA), tendo em vista a ampla disponibilidade de recursos naturais para o cultivo e a potencialidade de ser uma região de escape das principais doenças que afetam as culturas de cacau e banana. O trabalho verifica a oportunidade de negócio de produção de cacau e banana na região do rio Parnaíba. O estudo utiliza projeções de fluxo de caixa e os desconta para o Valor Presente Líquido (VPL) para aferir a viabilidade econômica do negócio de produção de cacaueiro e bananeira nesta região do Brasil. Foram realizadas pesquisas bibliográficas para analisar as características edafoclimáticas da microrregião, as características fisiológicas do cacaueiro e seu consórcio com a bananeira para o sombreamento temporário necessário durante a fase de crescimento do cacaueiro. Foi sugerido o pacote de alta tecnologia para a produção de cacaueiro, dada a necessidade de irrigação para o seu cultivo. Diferentes produtividades e preços de cacau e banana foram utilizados para analisar a sensibilidade económica deste negócio. Ao projetar um fluxo de caixa, foi possível fazer uma análise sobre o negócio, viabilidade e riscos. Deve-se notar que não há grandes áreas produtoras de cacau na região do rio Parnaíba. Porém, há pequenas áreas de cacau em regiões semiáridas (ou de cerrado). Assim, a produção vegetal carece de comprovação de produção em larga escala para atestar de modo prático algumas das premissas econômico-financeiras adotadas para analisar a viabilidade da produção de cacau e banana no Perímetro Irrigado Tabuleiro de São Bernardo.

Restrição financeira, tangibilidade e capital de giro : como as empresas brasileiras investem

Utilizando dados em Painel sobre mais de 15.000 observações de empresas brasileiras, tanto de capital aberto quanto de capital fechado no período entre 2010 a 2014, o presente estudo examinou a existência de restrição ao crédito e sua relação com investimentos em ativos fixos e o papel desempenhado pelo capital de giro enquanto ferramenta gerencial nas decisões de investimentos em ativos fixos. Para tanto, foram utilizadas duas metodologias-base: o estudo desenvolvido por Almeida e Campello (2007), que inovou ao incluir variáveis que controlam algumas das maiores críticas aos estudos relacionados à restrição ao crédito e o estudo de Ding, Guariglia e Knight (2011) que testou a relação de investimentos em capital de giro com investimentos em ativos fixos. Os resultados encontrados neste trabalho apontam que, de maneira geral, as empresas brasileiras sofrem com restrições ao crédito e também, que as empresas que investem mais em capital de giro demonstram menor sensibilidade do investimento em ativo fixo ao fluxo de caixa, porém, não conseguem traduzir isso em taxas maiores de investimentos.

Compósitos Portland-biopolímeros para cimentação de poços de petróleo

The oil production in mature areas can be improved by advanced recovery techniques. In special, steam injection reduces the viscosity of heavy oils, thus improving its flow to surrounding wells. On the other hand, the usually high temperatures and pressures involved in the process may lead to cement cracking, negatively affecting both the mechanical stability and zonal isolation provided by the cement sheath of the well. The addition of plastic materials to the cement is an alternative to prevent this scenario. Composite slurries consisting of Portland cement and a natural biopolymer were studied. Samples containing different contents of biopolymer dispersed in a Portland cement matrix were prepared and evaluated by mechanical and rheological tests in order to assess their behavior according to API (American Petroleum Institute) guidelines. FEM was also applied to map the stress distribution encountered by the cement at bottom bole. The slurries were prepared according to a factorial experiment plan by varying three parameters, i.e., cement age, contents of biopolymer and water-to-cement ratio. The results revealed that the addition of the biopolymer reduced the volume of free water and the setting time of the slurry. In addition, tensile strength, compressive strength and toughness improved by 30% comparing hardened composites to plain Portland slurries. FEM results suggested that the stresses developed at bottomhole may be 10 to 100 times higher than the strength of the cement as evaluated in the lab by unconfined mechanical testing. An alternative approach is proposed to adapt the testing methodology used to evaluate the mechanical behavior of oilwell cement slurries by simulating the confined conditions encountered at bottornhole

A utilização da informação contábil na atividade pecuária do Estado do Rio Grande do Norte: um enfoque nos demonstrativos gerados para tomada de decisão

This work deals with the cattle raising activity in Brasil, it´s importance for the stete of Rio Grande do Norte. A conceptual review is done regarding accounting information and considering it as an essencial input for economical and finantial decision making, related to the state cattle rainsing environment. It also aims to expose visions related to the role and the importance of Accounting as system that colects, treats and supplies managerial information. A brief historic of Accounting is done, emphasizing the Accounting Demonstration Structure and its use in the decision making process, as well as the contribution it has node for the cattle raising activity in Brazil. The research´s results show that accounting information is used partially in the finantial decision making process, and it is pointed out that the Inventory was the most relevant tool with 95,% of the cases, followed by the Income and Outlay reports with 85.0%,Production with 82,0% and Cost reports with 80,0%, the Demonstrative of the Cash Flow (DFC) with 82.5%, the Patrimonial Balance (PB) with 22.5%, and the Demonstrative of the Exercise Result (DER) with 20.0% of use. The research concludes that Accounting information is not throughly used in the economic and finantial decision making of the managers of cattle raising in the Rio Grande do Norte State, although, 95% of the sample consider then important. This may imply that there are diffilculties in measurement of the managerial decisions as well as the business whole

Avaliação econômica dos incentivos fiscais e financeiros: uma análise das empresas industriais têxteis localizadas no Rio Grande do Norte, no período de 1999 a 2003

This study has as main objective to verify the effect of the tax and financial incentives granted by the brazilian states, specially in the reduction of ICMS on the investment decision of the entities, which in the last years led to the companies to decide new projects in based on the region that presented the better infrastructure beyond lesser tributary expense. For in such was made an economic valuation of the companies with focus in the beneficiary s optics using an adaptation of the Discounted Cash Flow method to measure the impact of the tax incentives in the value of the companies, this study selected the textile industry segment located in the State of Rio Grande do Norte, Brazil. The results indicated that such incentives created addition in the value of the companies, however the inexistence of incentives would not be enough to a negative decision of investment in the Rio Grande do Norte. The smallest difference between the value with and without incentive observed was 8.9%, and the biggest 31.7%, and the average of value aggregation with the tax incentives represented 18.9%

Anteroventral third ventricle lesions impair cardiovascular responses to intravenous hypertonic saline infusion

The anteroventral third ventricle (AV3V) region is a critical area of the forebrain, acting on fluid and electrolyte balance and maintaining cardiovascular homeostasis. The purpose of this study was to determine the effects of lesions to the anteroventral third ventricle region on cardiovascular responses to intravenous hypertonic saline (HS) infusion, Male Wistar rats were anesthetized with urethane. The femoral artery and jugular vein were cannulated to record mean arterial pressure (MAP) and infuse hypertonic saline (3M NaCl, 0.18 mL/100 g bw, over 1 min), respectively. Renal blood flow (RBF) was recorded by ultrasonic transit-time flow probes. Renal vascular conductance (RVC) was calculated as renal blood flow to mean arterial pressure ratio and expressed as percentage of baseline. After hypertonic saline infusion in sham animals, renal blood flow and renal vascular conductance increased to 137+10% and 125+7% (10 min), and 141 +/- 10% and 133 +/- 10% (60 min), respectively. Increases in mean arterial pressure (20-min peak: 12 +/- 3 mm Hg) were also observed. An acute lesion in the AV3V region (DC, 2 mA 25s) 30 min before infusion abrogated the effects of hypertonic saline. Mean arterial pressure was unchanged and renal blood flow and renal vascular conductance were 107 +/- 7% and 103 +/- 6% (10 min), and 107 +/- 4 and 106 +/- 4% (60 min), respectively. Marked tachycardia was observed immediately after lesion. Responses of chronic sham or lesioned rats were similar to those of acute animals. However, in chronic lesioned rats, hypertonic saline induced sustained hypertension. These results demonstrate that integrity of the AV3V region is essential for the renal vasodilation that follows acute changes in extracellular fluid compartment composition. (C) 2004 Elsevier B.V. All rights reserved.

An interactive environment for solid modeling based on free software

This paper describes an interactive environment built entirely upon public domain or free software, intended to be used as the preprocessor of a finite element package for the simulation of three-dimensional electromagnetic problems.

Influence from the free volume on the photoinduced birefringence in azocompound-containing polymers

The photoinduced birefringence is analyzed in a guest-host azobenzene-containing polymer in the temperature range from 20 to 330 K. An anomalous behavior arises in the low-temperature range, suggesting strong influence from the free volume for the chromophores in the polymer. This influence is so strong that quenched samples have a photoinduced signal ca. 5 times greater than the annealed ones at room temperature. An extended free volume model is presented based on two assumptions about thermal fluctuations in the cavities and their size distribution. This model, which is an extension of the model by Mita et al., can explain the main features of the photoinduced birefringence as a function of time, temperature, and initial free volume state. To account for the influence of free volume on the photoorientation, the detailed reorientation model by Sekkat's was used. We show that Sekkat's model leads to an exponential behavior at small orientation regimes, which simplifies the mathematical treatment and allows the mean free volume to be obtained from the data fitting.

Interaction between wave and coastal structure: Validation of two lagrangian numerical models with experimental results marine 2011

Numerical modeling of the interaction among waves and coastal structures is a challenge due to the many nonlinear phenomena involved, such as, wave propagation, wave transformation with water depth, interaction among incident and reflected waves, run-up / run-down and wave overtopping. Numerical models based on Lagrangian formulation, like SPH (Smoothed Particle Hydrodynamics), allow simulating complex free surface flows. The validation of these numerical models is essential, but comparing numerical results with experimental data is not an easy task. In the present paper, two SPH numerical models, SPHysics LNEC and SPH UNESP, are validated comparing the numerical results of waves interacting with a vertical breakwater, with data obtained in physical model tests made in one of the LNEC's flume. To achieve this validation, the experimental set-up is determined to be compatible with the Characteristics of the numerical models. Therefore, the flume dimensions are exactly the same for numerical and physical model and incident wave characteristics are identical, which allows determining the accuracy of the numerical models, particularly regarding two complex phenomena: wave-breaking and impact loads on the breakwater. It is shown that partial renormalization, i.e. renormalization applied only for particles near the structure, seems to be a promising compromise and an original method that allows simultaneously propagating waves, without diffusion, and modeling accurately the pressure field near the structure.

Ablation of the ability to control the right-to-left cardiac shunt does not affect oxygen uptake, specific dynamic action or growth in the rattlesnake Crotalus durissus

The morphologically undivided ventricle of the heart in non-crocodilian reptiles permits the mixing of oxygen-rich blood returning from the lungs and oxygen-poor blood from the systemic circulation. A possible functional significance for this intra-cardiac shunt has been debated for almost a century. Unilateral left vagotomy rendered the single effective pulmonary artery of the South American rattlesnake, Crotalus durissus, unable to adjust the magnitude of blood flow to the lung. The higher constant perfusion of the lung circulation and the incapability of adjusting the right-left shunt in left-denervated snakes persisted over time, providing a unique model for investigation of the long-term consequences of cardiac shunting in a squamate. Oxygen uptake recorded at rest and during spontaneous and forced activity was not affected by removing control of the cardiac shunt. Furthermore, metabolic rate and energetic balance during the post-prandial metabolic increment, plus the food conversion efficiency and growth rate, were all similarly unaffected. These results show that control of cardiac shunting is not associated with a clear functional advantage in adjusting metabolic rate, effectiveness of digestion or growth rates. © 2013. Published by The Company of Biologists Ltd.